If the quantitative trading model is analyzed correctly, it will make money, otherwise it will lose money.

Judging from the past trading data, there will be a wave of blue-chip market every year. When the growth stocks are at risk, the stocks with low valuation will gradually go up, and the small stocks will stagnate. At this time, we will issue stocks according to the CSI 300, or buy ETFs and short stock index futures. By the end of the month, this deviation will automatically converge, and the space for convergence is the profit of arbitrage. If the profit of arbitrage exceeds 10% on the last trading day, most positions should be exchanged back at this time.

The sudden change in style in the fourth quarter of last year led to the explosion of many quantitative hedge funds and the annihilation of the whole army.

For quantitative traders, the model should adapt to the market as much as possible, and it needs to be adjusted several times while the market changes. In addition, arbitrage trading can be used as the main strategy, in parallel with the market neutral strategy. Once it is found that the arbitrage income exceeds 10%, it is necessary to reduce the original alpha position. Because many institutional investors are optimistic about the follow-up market, they have allocated stock index futures before they have time to open positions. 1000 spot needs 1000 lots of stock index futures. A large premium indicates that there will be a bigger increase behind the blue-chip market.